Sheogorath, Daedric Prince of Madness, Lord of the Never There, Fourth Corner of the House of Troubles, and Sovereign of the Shivering Isles (and Once Mortal Glint) has decided to take a vacation.
The Greymarch went quite well, as did the casting down of the World-Eater (with some very minor Molag Bal shaped bumps along the way), and the Shivering Isles have finally settled into a shape she likes. Taking over someone else's house is always a pain...
She's been all over Nirn, of course, and wandered many of the planes of Oblivion, but she's heard (mostly from Meridia, Lord of Infinite Energies and also apparently Lord of Poking Things With a Stick) that there are other farther, stranger places out there... Universes made by other, sometimes less quarrelsome hands.
Splitting off an avatar and sending it out into the Aetherial Sea surrounding existence (and having it survive the trip) takes some practice, but soon enough a fragment of the Mad God is soaring through the infinite light between planes, looking for something interesting...
That one seems neat enough, actually.
She steps out of unreality into a new world, in a little showy swirl of red light and sparkles, and Lord Sheogorath looks around at where she's landed.